Multi-innovation extended stochastic gradient algorithm and its performance analysis

DOI10.1007/s00034-010-9174-8zbMath1196.94026OpenAlexW2072207316MaRDI QIDQ1959352

Feng Ding, Li Yu, Yanjun Liu

Publication date: 6 October 2010

Published in: Circuits, Systems, and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00034-010-9174-8

zbMATH Keywords

recursive identificationparameter estimationperformance analysissignal processingstochastic gradientmulti-innovation identification

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Software, source code, etc. for problems pertaining to systems and control theory (93-04) Software, source code, etc. for problems pertaining to information and communication theory (94-04)

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Cites Work

• Performance analysis of multi-innovation gradient type identification methods
• Multi-innovation least squares identification methods based on the auxiliary model for MISO systems
• Performance analysis of stochastic gradient algorithms under weak conditions
• Identification for multirate multi-input systems using the multi-innovation identification theory
• Self-tuning control based on multi-innovation stochastic gradient parameter estimation
• Auxiliary model based multi-innovation extended stochastic gradient parameter estimation with colored measurement noises
• Adaptive prediction by least squares predictors in stochastic regression models with applications to time series
• Amendments to “Performance Analysis of Estimation Algorithms of Nonstationary ARMA Processes” [Mar 06 1041-1053]
• Parameter estimation of dual-rate stochastic systems by using an output error method
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